Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0434 |
| Annualized Std Dev | 0.2771 |
| Annualized Sharpe (Rf=0%) | -0.1566 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5585.0000 |
| NAs | 1.0000 |
| Minimum | -0.3577 |
| Quartile 1 | -0.0064 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0069 |
| Maximum | 0.2800 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0003 |
| Stdev | 0.0175 |
| Skewness | -2.0049 |
| Kurtosis | 78.4607 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0130 |
| Loss Deviation | 0.0160 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0130 |
| Downside Deviation (0%) | 0.0130 |
| Maximum Drawdown | 0.8229 |
| Historical VaR (95%) | -0.0223 |
| Historical ES (95%) | -0.0405 |
| Modified VaR (95%) | -0.0097 |
| Modified ES (95%) | -0.0097 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-08-18 | 2008-11-20 | NA | -0.8229 | 5430 | 2330 | NA |
| 1999-01-12 | 1999-04-14 | 1999-06-15 | -0.0985 | 107 | 64 | 43 |
| 1999-06-24 | 1999-06-29 | 1999-07-13 | -0.0252 | 13 | 4 | 9 |
| 1999-07-14 | 1999-07-14 | 1999-07-19 | -0.0215 | 4 | 1 | 3 |
| 1999-08-06 | 1999-08-09 | 1999-08-12 | -0.0215 | 5 | 2 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 2 | -0.4 | 0.4 | 0 | 0.4 | -0.7 | 0 | 0.8 | 0 | -0.7 | 0 | 4.9 | 6.7 |
| 2000 | 0.9 | 0 | 0.9 | 0.9 | 1.4 | -2.6 | -0.8 | 0.4 | 0.4 | -1.8 | -1.9 | 2.8 | 0.5 |
| 2001 | 0.3 | -1.6 | 0.3 | 0.9 | 0 | -4 | -0.3 | -0.7 | -2 | -0.6 | -0.3 | -1.3 | -9 |
| 2002 | -0.5 | -0.6 | 0.9 | 0.2 | -0.8 | 1.2 | 0.7 | -0.6 | 2.5 | 2.1 | 0 | 1.3 | 6.5 |
| 2003 | -0.1 | -0.3 | -0.2 | 0.6 | 1.9 | 0.3 | 0.6 | 0.6 | 0.2 | -0.4 | -0.9 | 1.4 | 3.7 |
| 2004 | 0 | 1 | -0.3 | 0.5 | 2.3 | -1 | -0.5 | 0.9 | 1.2 | -0.9 | -0.2 | 1.1 | 4.2 |
| 2005 | 0.2 | 0.1 | 0 | 0.5 | 1.8 | 0.2 | -0.9 | 0.4 | 0.7 | 0.7 | 1 | 2.3 | 7 |
| 2006 | -2 | 0.9 | 1.6 | 0.8 | 1.4 | -0.7 | 1.5 | 2 | -1.1 | -1.2 | 0.3 | -0.4 | 3 |
| 2007 | 0.4 | 0.5 | 0.4 | 0 | -1.4 | 0.9 | -1.1 | -0.5 | 0.4 | 0.6 | 2.5 | 0.8 | 3.6 |
| 2008 | 1.6 | -1.9 | 2.7 | 0.1 | -0.1 | 1 | 1.6 | -0.7 | 6.3 | 1.5 | -5.7 | 2.1 | 8.4 |
| 2009 | 7.2 | -2.4 | 3.9 | 1.6 | -0.6 | 0.2 | 1.5 | 1.5 | 0.4 | 1 | 0 | -0.1 | 14.7 |
| 2010 | 0.1 | 2.1 | 1.6 | 3.4 | 0.9 | -0.8 | 0.9 | 1 | 0.2 | -1.6 | 0.6 | -0.8 | 7.8 |
| 2011 | -0.1 | 1 | -0.5 | -0.6 | 0.6 | -0.5 | 3.8 | -0.3 | -0.6 | -1.3 | 1.2 | -0.5 | 2.1 |
| 2012 | 0.3 | 1.1 | 0.4 | 0.3 | 0.1 | 0.6 | 0.6 | -0.2 | -0.9 | -0.4 | -0.1 | 1 | 2.8 |
| 2013 | 0.4 | 0.5 | -0.3 | 1.2 | 0.5 | 0.8 | -0.8 | -1.3 | -1.4 | -0.3 | 1 | -0.3 | 0.1 |
| 2014 | 0.1 | 0 | 0.1 | -0.7 | -0.3 | 0.2 | -0.1 | -0.3 | 0.7 | -0.3 | 0.7 | 1.7 | 1.9 |
| 2015 | 0.5 | 0 | -0.9 | 0.8 | -0.9 | -0.2 | 0.2 | -1.3 | -0.6 | 0.7 | 0.6 | 0.2 | -0.9 |
| 2016 | 0.4 | 1.4 | 0.4 | 0.2 | 0.6 | 3.1 | 0.7 | 1.1 | 1.4 | 1.3 | 1.8 | -0.2 | 12.8 |
| 2017 | 1.1 | 0.3 | 0.3 | 0.6 | 0.8 | 0.8 | 0.3 | 0.8 | -0.6 | 0 | 0.4 | 0.2 | 5.1 |
| 2018 | 1.1 | -1.5 | 3.6 | -0.8 | -0.3 | -2.6 | 1.3 | 0.2 | -1 | -0.2 | 0.2 | 1.2 | 1 |
| 2019 | 1 | 0 | 0.4 | -2.3 | 0 | -0.7 | -1.2 | 0.7 | 0 | 0.8 | 0 | -1.8 | -3.1 |
| 2020 | 1.2 | -7.4 | -7.3 | -1 | 0.6 | 0.9 | -0.6 | 0 | 0.3 | 1.2 | 0.1 | 0.6 | -11.1 |
| 2021 | -0.8 | -0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
